Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0886
Annualized Std Dev 0.2235
Annualized Sharpe (Rf=0%) 0.3965

Row

Daily Return Statistics

Close
Observations 5184.0000
NAs 1.0000
Minimum -0.1339
Quartile 1 -0.0058
Median 0.0009
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0071
Maximum 0.1106
SE Mean 0.0002
LCL Mean (0.95) 0.0001
UCL Mean (0.95) 0.0008
Variance 0.0002
Stdev 0.0141
Skewness -0.4041
Kurtosis 10.7275

Downside Risk

Close
Semi Deviation 0.0102
Gain Deviation 0.0099
Loss Deviation 0.0112
Downside Deviation (MAR=210%) 0.0147
Downside Deviation (Rf=0%) 0.0100
Downside Deviation (0%) 0.0100
Maximum Drawdown 0.5957
Historical VaR (95%) -0.0205
Historical ES (95%) -0.0334
Modified VaR (95%) -0.0212
Modified ES (95%) -0.0395
From Trough To Depth Length To Trough Recovery
2007-06-05 2009-03-09 2013-01-02 -0.5957 1406 444 962
2020-01-17 2020-03-23 2021-01-06 -0.4611 245 45 200
2002-04-18 2002-10-09 2003-10-14 -0.3296 377 122 255
2018-08-30 2018-12-24 2019-12-20 -0.2353 330 80 250
2015-06-24 2016-01-20 2016-08-15 -0.2232 289 145 144

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2000 NA NA NA NA NA NA 0.9 0.1 0.3 -0.3 1 -1 1
2001 0.8 -0.5 1.4 0.2 1 1.5 0.7 1.1 -2 1.1 -1.4 -0.4 3.5
2002 -0.1 1.7 0.2 0.4 0.4 -1.9 -2.4 -0.1 1.7 1.5 -0.2 0.6 1.6
2003 1.4 0.1 0.5 0.1 2.9 0.6 -0.8 0.9 2.3 0.2 1.2 -0.5 9.2
2004 -0.1 1.6 0.8 -1.1 0.4 -1.5 -0.3 0.6 1.5 0.2 1.1 0 3.3
2005 0.6 0.9 -0.1 1.2 1.1 0.8 0.1 0.2 0.6 0.7 1.5 -0.5 7.3
2006 0.4 1.5 0 -0.5 1.2 0.3 -0.5 0.3 -0.4 -1 0 -0.6 0.6
2007 1.2 -0.3 0.4 0.4 0.6 -0.7 0.8 1.5 1.3 -2.5 0.9 -0.5 2.9
2008 2.2 -2.7 2.9 1.8 0.2 -0.2 0 -1.2 -1 2.6 -11.4 2 -5.4
2009 -3 -0.8 1.7 -0.5 3.7 1.4 -0.1 -2.3 -3.3 -3 1.4 -1.4 -6.2
2010 1.4 1.6 1.1 -2.1 -2.8 -0.8 0.1 3.3 0.3 0 2.1 -0.7 3.4
2011 1.6 -1.7 0.9 0.3 -2.6 1.6 -0.7 -1.8 -2.7 -3.3 -0.7 -0.4 -9.2
2012 2.1 0.8 -0.1 0.4 -3 2.8 -0.9 0.5 -0.4 2.3 0.2 1.5 6.2
2013 0.8 -0.4 -1 -1.9 -0.8 1.1 2 -1.5 1.3 0 -0.2 0.2 -0.4
2014 -0.4 0.2 0.7 0.1 -0.1 0.6 -0.1 0.5 -1.3 1.3 -1 -1.2 -0.6
2015 -1.1 -0.5 -0.1 0.6 0 0.2 0 -3.1 -0.2 -0.2 0.8 -1 -4.8
2016 -0.4 2 0.2 -0.4 0.4 0.4 -0.6 -0.2 0.9 -1 0 -0.4 0.8
2017 -0.2 1.8 0 0.2 1.8 0.1 0.1 0.4 0.1 -0.1 -0.2 -0.5 3.5
2018 0 -0.1 1.3 0.2 0.4 0 -0.4 0 -0.6 1.7 0.6 1 4.1
2019 0.2 0.8 1.7 -1 -1.3 0.6 -2.1 0.3 -2 1.5 -1.1 0.2 -2.2
2020 -2.1 -1.9 -6 -3.8 1.6 -1.3 -1.2 0.8 1.2 -0.5 1.5 0.1 -11.4
2021 1.9 2.7 -0.4 NA NA NA NA NA NA NA NA NA 4.2

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Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart